Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0652 |
| Annualized Std Dev | 0.3324 |
| Annualized Sharpe (Rf=0%) | 0.1960 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 4842.0000 |
| NAs | 1.0000 |
| Minimum | -0.1947 |
| Quartile 1 | -0.0098 |
| Median | 0.0013 |
| Arithmetic Mean | 0.0005 |
| Geometric Mean | 0.0003 |
| Quartile 3 | 0.0109 |
| Maximum | 0.2625 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0001 |
| UCL Mean (0.95) | 0.0011 |
| Variance | 0.0004 |
| Stdev | 0.0209 |
| Skewness | -0.0622 |
| Kurtosis | 13.2204 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0151 |
| Gain Deviation | 0.0147 |
| Loss Deviation | 0.0160 |
| Downside Deviation (MAR=210%) | 0.0194 |
| Downside Deviation (Rf=0%) | 0.0149 |
| Downside Deviation (0%) | 0.0149 |
| Maximum Drawdown | 0.7437 |
| Historical VaR (95%) | -0.0314 |
| Historical ES (95%) | -0.0488 |
| Modified VaR (95%) | -0.0288 |
| Modified ES (95%) | -0.0288 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2008-05-20 | 2020-03-23 | NA | -0.7437 | 3232 | 2981 | NA |
| 2002-04-18 | 2002-09-30 | 2003-12-01 | -0.4199 | 390 | 101 | 289 |
| 2006-05-10 | 2006-06-13 | 2006-11-29 | -0.2984 | 142 | 24 | 118 |
| 2004-04-06 | 2004-05-10 | 2004-09-16 | -0.2276 | 113 | 24 | 89 |
| 2007-07-24 | 2007-08-16 | 2007-09-26 | -0.2225 | 46 | 18 | 28 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2001 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 1.5 | 0.2 | -1.3 | 0.3 |
| 2002 | 0.9 | 1.9 | 1.4 | -0.4 | -2.5 | -2.7 | -1.7 | 0.3 | 2.7 | 0.8 | 2.2 | -0.2 | 2.5 |
| 2003 | 0.6 | 0.6 | 1.1 | -0.1 | 0.8 | 1.3 | -1.5 | 0.3 | 2.6 | -0.5 | 3.2 | -0.4 | 8.2 |
| 2004 | -0.4 | 3.3 | 1.8 | 0.1 | -0.4 | 0.4 | 0.8 | -0.1 | 2.4 | 0.8 | 1.6 | 0.3 | 10.9 |
| 2005 | 1.4 | -1.3 | 1.1 | 1.5 | 1 | 0.5 | 1.9 | 1.3 | 0.9 | 1.1 | 3.3 | -0.3 | 13.1 |
| 2006 | -0.4 | 2.8 | 0 | 0.7 | 3 | 1.4 | -1.4 | 2.1 | -0.1 | 0.3 | -1.2 | 0.4 | 7.7 |
| 2007 | 1 | -1.1 | 0 | 0.1 | 3.2 | 0.2 | -0.9 | 3.5 | 4 | -2.7 | 1.5 | -1.6 | 7.2 |
| 2008 | 1.7 | -4.6 | 3.8 | 1.3 | 1 | -2.2 | -2.5 | -1 | -1.2 | -1.1 | -9.8 | 1.9 | -12.6 |
| 2009 | -1 | -1.6 | 3.6 | 3.4 | 4 | 1 | 0.3 | -2.9 | -2.6 | -4.6 | 2.5 | 0.2 | 1.8 |
| 2010 | 3.6 | 1 | 1.8 | -0.9 | -0.5 | 1.1 | 0.8 | 3.5 | 1 | 0.9 | 1.9 | 0.7 | 15.8 |
| 2011 | 2.4 | -1.3 | 1.5 | 1.5 | -2.1 | 1.4 | 0.2 | 0.7 | -3.4 | -2.9 | 0.4 | 0.5 | -1.3 |
| 2012 | 2.3 | 1.8 | 0 | 0.7 | -2.4 | 4.5 | -0.3 | 0.6 | 0.9 | 1.5 | -0.5 | 1.2 | 10.7 |
| 2013 | 0.8 | 0.1 | -0.9 | -1.5 | -1.5 | 0.3 | 1.7 | 0.2 | 1.5 | -0.4 | 0.7 | 0.8 | 1.8 |
| 2014 | -0.6 | -1.1 | 0.5 | 0.1 | -2.1 | 0.5 | 0.2 | 1.8 | -3 | 0.8 | -3.3 | -0.3 | -6.5 |
| 2015 | -3.4 | 0.6 | 3.1 | 0.3 | 0.1 | -1.4 | 1.4 | -3.8 | 0 | 0.1 | 1 | -0.1 | -2.3 |
| 2016 | 0.1 | 4.2 | 1 | 0.9 | 1.2 | 0.8 | -1.7 | 0.4 | 0.3 | -3 | -3.7 | -1 | -0.8 |
| 2017 | 0.7 | 2.7 | -0.4 | 0.7 | -0.2 | 0.8 | 0.6 | 1.4 | 0.9 | -0.4 | 1 | 0.6 | 8.7 |
| 2018 | 0.8 | 0 | 2.6 | -1.4 | 0.3 | 0.7 | -1.1 | 1.6 | 0.5 | 3 | -0.3 | 0.4 | 7.3 |
| 2019 | -0.3 | -1.1 | 1.7 | -1.7 | -0.4 | 0.5 | -1.5 | 1.5 | -0.9 | 1.9 | -0.2 | 0.2 | -0.4 |
| 2020 | -2.3 | 0.3 | -4.8 | -4.1 | 2.8 | 2.2 | -2.7 | 3.8 | -0.5 | -1.2 | 5.1 | -0.5 | -2.6 |
| 2021 | 2.7 | 1.1 | 1.2 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 5 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
